Donchian Trendlines with ATR Bands for Breakout Trading

Summary

This trend-following method combines a Donchian range with ATR-based bands and sloped support and resistance lines. It marks new highs or lows over a rolling channel, uses the recent ATR band width to set the slope of projected lines, and generates trades when price crosses those lines. Long positions are opened on an upward crossing of the resistance line and closed on a downward crossing of support or the prior channel midpoint. Short positions use the inverse crossings when short mode is enabled.

The published parameters include a 60-period Donchian window, a 14-period ATR and a slope multiplier of 0.03. Backtest settings specify BTC/USDT futures over about a month, using two-hour strategy bars and 15-minute base data; the document provides no performance figures. The described approach may filter noise by requiring breaks of dynamic levels, but those levels can lag, and overly wide ATR stops can increase losses. Parameter choice is important, and the text recommends evaluating stop widths and signal filters.

Key ideas

• Donchian highs and lows define a rolling price channel used to detect range breaks.
• ATR band width and a slope multiplier determine the pace of projected support and resistance lines.
• Crossings of the sloped lines generate long and, optionally, short entries and exits.
• The published settings use a 60-period channel, a 14-period ATR and a slope multiplier of 0.03.
• Indicator lag, wide stop zones and parameter selection are key risks; no backtest performance is reported.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.